All Boxed Out
Market turbulence hit Japanese interest rate markets in March, leaving hedge funds and banks with losses in the billions of dollars. What went wrong? By Christopher Jeffery
Relative-value fixed-income hedge funds, bank proprietary trading desks, local securities dealers and other large Japanese government bond (JGB) underwriters suffered billions of dollars - perhaps tens of billions of dollars - of mark-to-market and real losses in March, as turbulence struck the country's once-well-behaved interest rates market.
Seven-year JGB futures - the most liquid government-linked debt instruments in the country and consequently the cheapest to deliver - saw yields move 7
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